To lower the probability of coding errors, we coded the core part of the analysis (quarterly and monthly from 1947, without restrictions) for the five methods from Rapach, Strauss and Zhou (2010) in both R and Stata.

For Tables 1 to 4, use the R code in RTables2022final.

For Tables 5 to 8, use the Stata code in STables2022final. It also contains the code and simulated data for the Monte Carlo simulation.

